Prudential Regulation Authority Rulebook

Where a firm has a position in a financial instrument for which no treatment has been specified in the CRR, it must calculate its own funds requirement for that position by applying the most appropriate rules relating to positions that are specified in the CRR, if doing so is prudent and appropriate, and if the position is sufficiently similar to those covered by the relevant rules.

A firm must document its policies and procedures for calculating own funds for such positions in its trading book policy statement.

If there are no appropriate treatments the firm must calculate an own funds requirement of an appropriate percentage of the current value of the position. An appropriate percentage is either 100%, or a percentage that takes into account the characteristics of the position.

For the purposes of this rule, trading book policy statement means the statement of policies and procedures relating to the trading book.